Foreign Cenbank Holdings of US Obligations Weekly Update — to January 5, 2011

Greetings again from the Thirteenth District. This Thursday the amero gap closed at -31 basis points ($1 == C$0.9969; a week before it was at exactly par). I’m guessing the Ottawa Fed wants to keep the gap within a +/-300bp range like they did in 10Q4 in case something happens — e.g. a foreign central bank selloff in the US obligations we’ve been following here — and it becomes imperative to rapidly implement a North American currency. I’ll start breathing easier when either growth in the agencies / treasuries numbers picks up again or the amero gap leaves that par +/-3% range.

This week the Fed’s own holdings of MBS were unchanged and both treasuries and agencies advanced, but collectively the number was only about half the $1 billion a day figure required to comfortably support the ongoing bailouts.

This week’s Reuters report1 was, as usual, based on the weekly update from the NY Fed’s H.4.1 table site.2 Here is Doom’s updated CSV version3 of the agencies and treasuries foreign central bank holdings data set.

The treasuries number rebounded into positive territory, but only mildly.

The Treasury Debt growth of $2.595 billion reversed a bit more than a third of last week’s selloff.

Agencies gained once again, at $0.849 billion just about matching last week’s small growth.

*Agen-FM: The dotted line is the foreign central banks’ Agency Debt holdings reduced by the level of the Fed’s own MBS holdings. Since the FRBNY itself is a lightly audited peculiar amalgam of foreign & domestic, central and private bank I think it might be useful to consider the hypothesis that for a while starting in January 2009 the Fed’s MBS holdings were being quietly deemed to be “foreign.” That is, for the first half of ’09 the dotted line seems more sensible than the red one.

The net of US obligations held grew by $3.444 billion, recovering a bit more than half of last week’s shrinkage.

Twist’s ratio graphs ticked down just a bit this week.

Both Setzer graph numbers actually went up this week. Last year it was mid-February before the recovery in cenbank appetite took hold.